Euro-Cbonds Indices Calculation Methodologydata.cbonds.info/indexdocs/g_eng_1121.pdf · Euro-Cbonds...

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Elena Skurihina Head of Projects Tel/fax: (812) 336 9721, ext.118. e-mail: [email protected] Dmitriy Alekseev Head of International Projects Tel/fax:: (812) 336 9721, ext..116. e-mail: [email protected]

Euro-Cbonds Indices Calculation Methodology

Calculation Formula .......................................................................................................................................................... 2

Concomitant figures .......................................................................................................................................................... 3

Methodology of Index List Formation .............................................................................................................................. 4

CIS Eurobonds index family: ......................................................................................................................................... 4

Emerging Markets Sovereign Eurobonds index family: ................................................................................................ 6

Emerging Markets Corporate Eurobonds index family: ................................................................................................ 8

Polish Eurobonds index family: ................................................................................................................................... 10

Turkey Eurobonds index family: ................................................................................................................................. 11

Brazil Eurobonds index family: .................................................................................................................................... 12

Euro-Cbonds Corporate Brazil ................................................................................................................................. 12

Annex 1: summary table of index lists criteria ............................................................................................................ 13

Annex 2: the history of indices methodology adjustments ........................................................................................ 20

Euro-Cbonds International Bonds Indices

Elena Skurihina Head of Projects Tel/fax: (812) 336 9721, ext.118. e-mail: [email protected]

Dmitriy Alekseev Deputy Head of International Projects Tel/fax:: (812) 336 9721, ext..106. e-mail: [email protected]

2

Calculation Formula The International Bond Indices offered by Cbonds.ru are total return indices calculated according to the

following formula:

100)0( I ;

n – number of securities on the Index List;

P (i,t) – price of the i-th security at moment t (*);

ACI (i,t) - accrued coupon income on the i-th security at moment t (this figure equals 0 on the coupon payment date

being simultaneously the beginning of a new coupon period);

G(i,t) – coupon payments made on the i-th security at moment t;

V(i) – par amount of the i-th issue on the Index List.

(*) - By the price of the i-th security at moment t we understand an average price of best bid and ask quotes displayed on Cbonds in the Market Quotes section. The Index is calculated in the beginning of a trading day (every trading day) using the data from the previous trading day at its closure. Apart In addition to the main index, we also calculate a auxiliary (“conjuncture”) index. It us a price-based index calculated the following way:

1000 IP ;

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n – number of securities on the Index List; P (i,t) – price of the i-th security at moment t; V(i) – par amount of the i-th issue on the Index List.

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iVtiGtiACItiPtItI

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3

Concomitant figures

In addition to the indices, we calculate a number of gauges characterizing weighted average yield to maturity and weighted average duration of the index portfolio. We calculate “simple” weighted average yield (not including within-year coupon investments; it meets the standards of yield calculation on the Eurobond market). Weighted average duration is average duration weighted according to the share of each security in general capitalization. We use duration to maturity for every security if it is possible to calculate it correctly, otherwise duration to put option is used.

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Weighted average yields are weighted yields either to maturity or to put option of securities included in the Index portfolio. If it is possible to calculate yield to maturity correctly, we use yield to maturity, otherwise we employ yield to put option. Yields are weighted according to the security’s share in the market capitalization and duration.

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4

Methodology of Index List Formation

CIS Eurobonds index family:

Euro-Cbonds Sovereign Russia

Euro-Cbonds Sovereign Ukraine

Euro-Cbonds Sovereign CIS

Euro-Cbonds IG Russia

Euro-Cbonds Russia BB+/Ba1

Euro-Cbonds IG Russia RUB

Euro-Cbonds IG Russia EUR

Euro-Cbonds IG 3Y Russia

Euro-Cbonds NIG Russia

Euro-Cbonds Corporate Ukraine

Euro-Cbonds Corporate Kazakhstan

1. When calculating the index, we primarily take into account all outstanding Eurobonds from the country (Russia, Ukraine, Kazakhstan), the type of debt – senior unsecured debt, the issue structure – LPNs, global Eurobonds or Eurobonds rated by at least two international rating agencies (Moody's, S&P, Fitch).

2. Only coupon Eurobonds with a fixed rate are considered for inclusion in the index. 3. Eurobonds, denominated in the currency other than US$, are excluded from the list formed according to the

principles outlined in paragraph 2; for Euro-Cbonds IG Russia RUB, notes denominated in the currency other than Russian Ruble (RUB) are excluded; for Euro-Cbonds IG Russia EUR, notes denominated in the currency other than Euro (EUR) are excluded.

4. Eurobonds having maturity of less than 180 days are excluded from the list formed in 3rd paragraph; for Euro-Cbonds IG 3Y, Eurobonds with maturities of more than 1080 days are also excluded.

5. Low liquidity Eurobonds defined according to the following criteria are excluded from the list formed in 4th paragraph: 5.1. The issue amount for Euro-Cbonds Sovereign and Euro-Cbonds IG Indices is under $250 m; for Euro-Cbonds

NIG and Euro-Cbonds Corporate it is under $100 m; for Euro-Cbonds IG Russia EUR - less than EUR 200 mn; for Euro-Cbonds IG Russia RUB - less than 3 bn rubles.

5.2. The number of days when quotes on this Eurobond issue were not posted on Cbonds exceeds half the trading days of the quarter.

6. The list of Eurobonds formed in paragraph 5 is filtered according to credit rating levels and sovereign/non-sovereign debt for every index: 6.1. Euro-Cbonds Sovereign includes Eurobonds with any rating issued by the government. 6.2. Euro-Cbonds IG includes non-sovereign issues rated not lower than Ваа3 by Moody’s and/ or ВВВ- by S&P

and Fitch (at least by 2 agencies if the issuer is rated by more than one agency). From 01 April 2015 Euro-Cbonds IG includes non-sovereign issues rated not lower than Ва1 by Moody’s and/ or ВВ+ by S&P and Fitch (at least by 2 agencies if the issuer is rated by more than one agency).

6.3. Euro-Cbonds NIG includes non-sovereign issues rated below Ваа3 by Moody’s and/ or ВВВ- by S&P and Fitch (by 2 of 3 agencies, if the issuer is rated by all 3 agencies and at least by 1 agency if the issuer is rated by 2 agencies) but not lower then В3 by Moody’s and В- by S&P and Fitch.




5

6.4. Euro-Cbonds Corporate Kazakhstan comprises non-sovereign issues with ratings not lower than В3 (Moody’s) or В- (S&P and Fitch).

7. Lists created according to the above mentioned criteria for every index are called Index Lists. 8. Lists are reviewed by Cbonds every 3 months according to this methodology with inclusion of new issues. 9. Index is calculated daily as of the date, when we have updated the quotes, based on at least 30% of the issues in

the index portfolio.




6

Emerging Markets Sovereign Eurobonds index family:

Euro-Cbonds Sovereign EM

Euro-Cbonds Sovereign LatAm

Euro-Cbonds Sovereign Asia

Euro-Cbonds Sovereign Eastern Europe

Euro-Cbonds Sovereign Eastern Europe (EUR)

Euro-Cbonds Sovereign Middle East

Euro-Cbonds Sovereign Africa

Euro-Cbonds IG Sovereign EM

Euro-Cbonds IG Sovereign LatAm

Euro-Cbonds IG Sovereign Eastern Europe

Euro-Cbonds IG Sovereign Eastern Europe (EUR)

Euro-Cbonds IG Sovereign Middle East

Euro-Cbonds IG Sovereign CIS

Euro-Cbonds IG Sovereign Asia

Euro-Cbonds IG Sovereign Africa

Euro-Cbonds NIG Sovereign EM

Euro-Cbonds NIG Sovereign LatAm

Euro-Cbonds NIG Sovereign Asia

Euro-Cbonds NIG Sovereign Eastern Europe

Euro-Cbonds NIG Sovereign Eastern Europe (EUR)

Euro-Cbonds NIG Sovereign Middle East

Euro-Cbonds NIG Sovereign CIS

Euro-Cbonds NIG Sovereign Africa

1. When calculating the index, we primarily take into account all outstanding sovereign international bonds from

the region (CIS, Eastern Europe, Middle East, Africa, Asia, Latin America), the type of debt – senior unsecured debt, the issue structure – LPNs, global Eurobonds or Eurobonds rated by at least two international rating agencies (Moody's, S&P, Fitch).

2. Only coupon Eurobonds with a fixed rate are considered for inclusion in the index. 3. Eurobonds denominated in the currency other than US$ are excluded from the list formed according to the

principles outlined in paragraph 2; for Euro-Cbonds Sovereign Eastern Europe (EUR) and Euro-Cbonds Sovereign Eastern Europe (EUR) IG – any currency other than EURO (EUR).

4. Eurobonds having a maturity of less than 360 days are excluded from the list formed in 3rd paragraph. 5. Low liquidity Eurobonds defined according to the following criteria are excluded from the list formed in 4th

paragraph:




7

5.1. The issue amount is under $1 bn; for Euro-Cbonds EM it is under $2 bn, and for Euro-Cbonds Middle East and Africa – is less than $500 m.

5.2. The number of days when quotes on this Eurobond issue were not posted on Cbonds exceeds half the trading days of the quarter.

6. The list of Eurobonds formed in paragraph 5 is filtered according to credit rating levels for every index: 6.1. Euro-Cbonds Sovereign – includes all issues rated not lower than Ва3 by Moody’s and/ or ВВ- by S&P and

Fitch (at least by 2 agencies), and for Middle East and Africa not lower than В3 by Moodys and/ or В- by S&P and Fitch (2 of 3).

6.2. Euro-Cbonds IG – includes all issues rated not lower than Ваа3 by Moodys and/ or ВВВ- by S&P and Fitch (at least by 2 agencies).

6.3. Euro-Cbonds NIG - includes all issues rated not higher than Ва1 by Moodys and/ or ВB+ by S&P and Fitch, (at least by 2 agencies).






8

Emerging Markets Corporate Eurobonds index family:

Euro-Cbonds Corporate EM

Euro-Cbonds Corporate LatAm

Euro-Cbonds Corporate Asia

Euro-Cbonds Corporate Middle East

Euro-Cbonds Corporate Eastern Europe

Euro-Cbonds Corporate Africa

Euro-Cbonds Corporate EM (BRL)

Euro-Cbonds Corporate EM (CNY)

Euro-Cbonds IG Corporate EM

Euro-Cbonds IG Corporate LatAm

Euro-Cbonds IG Corporate Eastern Europe

Euro-Cbonds IG Corporate Eastern Europe (EUR)

Euro-Cbonds IG Corporate Middle East

Euro-Cbonds IG Corporate CIS

Euro-Cbonds IG Corporate Asia

Euro-Cbonds IG Corporate Africa

Euro-Cbonds NIG Corporate EM

Euro-Cbonds NIG Corporate LatAm

Euro-Cbonds NIG Corporate Eastern Europe

Euro-Cbonds NIG Corporate Eastern Europe (EUR)

Euro-Cbonds NIG Corporate Middle East

Euro-Cbonds NIG Corporate CIS

Euro-Cbonds NIG Corporate Africa

Euro-Cbonds NIG Corporate Asia

1. When calculating the index, we primarily take into account all outstanding corporate international bonds from

the region (CIS, Eastern Europe, Middle East, Africa, Asia, Latin America), the type of debt – senior unsecured debt, the issue structure – LPNs, global Eurobonds or Eurobonds rated by at least two international rating agencies (Moody's, S&P, Fitch).

2. Only coupon Eurobonds with a fixed rate are considered for inclusion in the index. 3. Eurobonds denominated in the currency other than US$ are excluded from the list formed according to the

principles outlined in paragraph 2; for Euro-Cbonds Corporate EM (CNY) and Euro-Cbonds Corporate EM (BRL) – any currency other than CNY and BRL.

4. Eurobonds having a maturity of less than 180 days are excluded from the list formed in 3rd paragraph.




9

5. Low liquidity Eurobonds defined according to the following criteria are excluded from the list formed in 4th paragraph: 5.1. The number of days when quotes on this Eurobond issue were not posted on Cbonds exceeds half the

trading days of the quarter. 5.2. The issue amount is under $1 bn; for Euro-Cbonds EM it is under $2 bn, for Euro-Cbonds Eastern Europe and

Africa is less than $500 m, for Euro-Cbonds Corporate EM (CNY) it is under 600 m CNY and for Euro-Cbonds Corporate EM (BRL) it is under 200 m BRL.






10

Polish Eurobonds index family:

Euro-Cbonds Sovereign Poland (USD)

1. When calculating the index, we primarily take into account all outstanding Polish international bonds, the type of debt – senior unsecured debt.


principles outlined in paragraph 2. 4. Eurobonds having a maturity of less than 180 days are excluded from the list formed in 3rd paragraph. 5. Low liquidity Eurobonds defined according to the following criteria are excluded from the list formed in 4th

paragraph: 5.1. The issue amount is under $500m. 5.2. The number of days when quotes on this Eurobond issue were not posted on Cbonds exceeds half the

trading days of the quarter. 6. Lists created according to the above mentioned criteria for every index are called Index Lists. 7. Lists are reviewed by Cbonds every 3 months according to this methodology with inclusion of new issues. 8. Index is calculated daily as of the date, when we have updated the quotes, based on at least 30% of the issues in


Euro-Cbonds Sovereign Poland (EUR)

1. When calculating the index, we primarily take into account all outstanding Polish international bonds, the type of debt – senior unsecured debt.

2. Only coupon Eurobonds with a fixed rate are considered for inclusion in the index. 3. Eurobonds, denominated in the currency other than euro, are excluded from the list formed according to the


paragraph: 5.1. The issue amount is under EUR500m; 5.2. The number of days when quotes on this Eurobond issue were not posted on Cbonds exceeds half the






11

Turkey Eurobonds index family:

Euro-Cbonds Sovereign Turkey (USD) 1. When calculating the index, we primarily take into account all outstanding Turkish international bonds, the type

of debt – senior unsecured debt. 2. Only coupon Eurobonds with a fixed rate are considered for inclusion in the index. 3. Eurobonds, denominated in the currency other than US$, are excluded from the list formed according to the








12

Brazil Eurobonds index family:

Euro-Cbonds Sovereign Brazil 1. When calculating the index, we primarily take into account all outstanding Brazil international bonds, the type

of debt – senior unsecured debt. 2. Only coupon Eurobonds with a fixed rate are considered for inclusion in the index. 3. Eurobonds, denominated in the currency other than US$, are excluded from the list formed according to the





Euro-Cbonds Corporate Brazil

1. When calculating the index, we primarily take into account all outstanding corporate international bonds from Brazil, the type of debt – senior unsecured debt, the issue structure – LPNs, global Eurobonds or Eurobonds.






13

Annex 1: summary table of index lists criteria

Index Region Country Type of notes

Coupon Segment Currency Min. term to maturity (days)

Max. term to maturity (days)

Rating Review frequency

Index calculated since

Number of days when quotes were posted on Cbonds

The issue minimum amount

CIS Eurobonds index family Euro-Cbonds Sovereign Russia

CIS Russia Eurobonds fixed gov USD 180 - - quarterly 01.01.2008 36 250 000 000

Euro-Cbonds Sovereign Ukraine

CIS Ukraine Eurobonds fixed gov USD 180 - - quarterly 01.01.2008 36 250 000 000

Euro-Cbonds Sovereign CIS

CIS CIS Eurobonds fixed gov USD 180 - - quarterly 01.01.2011 36 250 000 000

Euro-Cbonds Russia BB+/Ba1

CIS Russia Eurobonds fixed corp USD 180 - not lower than Ва1 by Moody’s and/ or ВВ+ by S&P and Fitch (2 of 3)

quarterly 01.01.2008 36 250 000 000

Euro-Cbonds IG Russia CIS Russia Eurobonds fixed corp USD 180 - not lower than Ваa3 by Moody’s and/ or ВВB- by S&P and Fitch (2 of 3)

quarterly 02.04.2015 36 250 000 000

Euro-Cbonds IG Russia RUB

CIS Russia Eurobonds fixed all RUB 180 - not lower than Ва1 by Moody’s and/ or ВВ+ by S&P and Fitch (2 of 3)

quarterly 01.01.2012 36 3 000 000 000

Euro-Cbonds IG Russia EUR

CIS Russia Eurobonds fixed all EUR 180 - not lower than Ва1 by Moody’s and/ or ВВ+ by S&P and Fitch (2 of 3)

quarterly 01.01.2011 36 200 000 000

Euro-Cbonds IG 3Y Russia

CIS Russia Eurobonds fixed corp USD 180 1080 not lower than Ва1 by Moody’s and/ or ВВ+ by S&P and Fitch (2 of 3)

quarterly 01.09.2009 36 250 000 000

Euro-Cbonds NIG Russia

CIS Russia Eurobonds fixed corp USD 180 - below Ваа3 by Moody’s and/ or ВВВ by S&P and Fitch (by 2 of 3 agencies, if the issuer is rated by all 3 agencies, and at least by 1 agency if the issuer is rated by 2 agencies) but not lower then В3 by Moody’s and В- by S&P and Fitch.

quarterly 01.01.2008 36 100 000 000

Euro-Cbonds Corporate Ukraine

CIS Ukraine Eurobonds fixed corp USD 180 - - quarterly 01.01.2008 36 100 000 000

Euro-Cbonds Corporate Kazakhstan

CIS Kazakhstan

Eurobonds fixed corp USD 180 - not lower than В3 (Moody’s) or В- (S&P and Fitch)

quarterly 01.01.2008 36 100 000 000

14








Emerging Markets Sovereign Eurobonds index family Euro-Cbonds Sovereign EM

CIS, Eastern Europe, Middle East, Africa, Asia, Latin America

all Eurobonds fixed gov USD 360 - not lower than Ва3 by Moody’s and/ or ВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2010 36 2 000 000 000

Euro-Cbonds Sovereign LatAm

Latin America all Eurobonds fixed gov USD 360 - not lower than Ва3 by Moody’s and/ or ВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2011 36 1 000 000 000

Euro-Cbonds Sovereign Asia

Asia all Eurobonds fixed gov USD 360 - not lower than Ва3 by Moody’s and/ or ВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2011 36 1 000 000 000

Euro-Cbonds Sovereign Eastern Europe

Eastern Europe all Eurobonds fixed gov USD 360 - not lower than Ва3 by Moody’s and/ or ВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2011 36 1 000 000 000

Euro-Cbonds Sovereign Eastern Europe (EUR)

Eastern Europe all Eurobonds fixed gov EUR 360 - not lower than Ва3 by Moody’s and/ or ВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2011 36 1 000 000 000

Euro-Cbonds Sovereign Middle East

Middle East all Eurobonds fixed gov USD 360 - not lower than В3 by Moodys and/ or В- by S&P and Fitch (2 of 3)

quarterly 01.01.2011 36 500 000 000

Euro-Cbonds Sovereign Africa

Africa all Eurobonds fixed gov USD 360 - not lower than В3 by Moodys and/ or В- by S&P and Fitch (2 of 3)

quarterly 01.01.2011 36 500 000 000

Euro-Cbonds IG Sovereign EM


all Eurobonds fixed gov USD 360 - not lower than Ваа3 by Moodys and/ or ВВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2011 36 2 000 000 000

Euro-Cbonds IG Sovereign LatAm

Latin America all Eurobonds fixed gov USD 360 - not lower than Ваа3 by Moodys and/ or ВВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2011 36 1 000 000 000

Euro-Cbonds IG Sovereign Eastern Europe

Eastern Europe all Eurobonds fixed gov USD 360 - not lower than Ваа3 by Moodys and/ or ВВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2011 36 1 000 000 000

15








Euro-Cbonds IG Sovereign Eastern Europe (EUR)

Eastern Europe all Eurobonds fixed gov EUR 360 - not lower than Ваа3 by Moodys and/ or ВВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2011 36 1 000 000 000

Euro-Cbonds IG Sovereign Middle East

Middle East all Eurobonds fixed gov USD 360 - not lower than Ваа3 by Moodys and/ or ВВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2011 36 500 000 000

Euro-Cbonds IG Sovereign CIS

CIS all Eurobonds fixed gov USD 360 - not lower than Ваа3 by Moodys and/ or ВВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2015 36 500 000 000

Euro-Cbonds IG Sovereign Asia

Asia all Eurobonds fixed gov USD 360 - not lower than Ваа3 by Moodys and/ or ВВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2015 36 1 000 000 000

Euro-Cbonds IG Sovereign Africa

Africa all Eurobonds fixed gov USD 360 - not lower than Ваа3 by Moodys and/ or ВВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2015 36 500 000 000

Euro-Cbonds NIG Sovereign EM


all Eurobonds fixed gov USD 360 - from B3 to Ba1 by Moodys and/ or from B- to BB+ by S&P and Fitch

quarterly 01.01.2011 36 2 000 000 000

Euro-Cbonds NIG Sovereign LatAm

Latin America all Eurobonds fixed gov USD 360 - from B3 to Ba1 by Moodys and/ or from B- to BB+ by S&P and Fitch

quarterly 01.01.2011 36 1 000 000 000

Euro-Cbonds NIG Sovereign Asia

Asia all Eurobonds fixed gov USD 360 - from B3 to Ba1 by Moodys and/ or from B- to BB+ by S&P and Fitch

quarterly 01.01.2011 36 1 000 000 000

Euro-Cbonds NIG Sovereign Eastern Europe

Eastern Europe all Eurobonds fixed gov USD 360 - from B3 to Ba1 by Moodys and/ or from B- to BB+ by S&P and Fitch

quarterly 01.01.2011 36 1 000 000 000

Euro-Cbonds NIG Sovereign Eastern Europe (EUR)

Eastern Europe all Eurobonds fixed gov EUR 360 - from B3 to Ba1 by Moodys and/ or from B- to BB+ by S&P and Fitch

quarterly 01.01.2015 36 1 000 000 000

Euro-Cbonds NIG Sovereign Middle East

Middle East all Eurobonds fixed gov USD 360 - from B3 to Ba1 by Moodys and/ or from B- to BB+ by S&P and Fitch

quarterly 01.01.2011 36 1 000 000 000

Euro-Cbonds NIG Sovereign CIS

CIS all Eurobonds fixed gov USD 360 - from B3 to Ba1 by Moodys and/ or from B- to BB+ by S&P and Fitch

quarterly 01.01.2011 36 500 000 000

Euro-Cbonds NIG Sovereign Africa

Africa all Eurobonds fixed gov USD 360 - from B3 to Ba1 by Moodys and/ or from B- to BB+ by S&P, Fitch

quarterly 01.01.2011 36 500 000 000

16








Emerging Markets Corporate Eurobonds index family Euro-Cbonds Corporate EM


all Eurobonds fixed corp USD 180 - - quarterly 01.01.2011 36 2 000 000 000

Euro-Cbonds Corporate LatAm

Latin America all Eurobonds fixed corp USD 180 - - quarterly 01.01.2011 36 1 000 000 000

Euro-Cbonds Corporate Asia

Asia all Eurobonds fixed corp USD 180 - - quarterly 01.01.2011 36 1 000 000 000

Euro-Cbonds Corporate Middle East

Middle East all Eurobonds fixed corp USD 180 - - quarterly 01.01.2011 36 1 000 000 000

Euro-Cbonds Corporate Eastern Europe

Eastern Europe all Eurobonds fixed corp USD 180 - - quarterly 01.06.2012 36 500 000 000

Euro-Cbonds Corporate Africa

Africa all Eurobonds fixed corp USD 180 - - quarterly 01.06.2012 36 500 000 000

Euro-Cbonds Corporate EM (BRL)


all Eurobonds fixed corp BRL 180 - - quarterly 01.01.2012 36 200 000 000

Euro-Cbonds Corporate EM (CNY)


all Eurobonds fixed corp CNY 180 - - quarterly 01.07.2013 36 600 000 000

Euro-Cbonds IG Corporate EM


all Eurobonds fixed corp USD 180 - not lower than Ваа3 by Moodys and/ or ВВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2015 36 500 000 000

Euro-Cbonds IG Corporate LatAm

Latin America all Eurobonds fixed corp USD 180 - not lower than Ваа3 by Moodys and/ or ВВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2015 36 500 000 000

17


Coupon

Segment Currency Min. term to maturity (days)






Euro-Cbonds IG Corporate Eastern Europe

Eastern Europe all Eurobonds fixed corp USD 180 - not lower than Ваа3 by Moodys and/ or ВВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2015 36 500 000 000

Euro-Cbonds IG Corporate Eastern Europe (EUR)

Eastern Europe all Eurobonds fixed corp EUR 180 - not lower than Ваа3 by Moodys and/ or ВВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2015 36 500 000 000

Euro-Cbonds IG Corporate Middle East

Middle East all Eurobonds fixed corp USD 180 - not lower than Ваа3 by Moodys and/ or ВВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2015 36 500 000 000

Euro-Cbonds IG Corporate CIS

CIS all Eurobonds fixed corp USD 180 - not lower than Ваа3 by Moodys and/ or ВВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2015 36 500 000 000

Euro-Cbonds IG Corporate Asia

Asia all Eurobonds fixed corp USD 180 - not lower than Ваа3 by Moodys and/ or ВВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2015 36 500 000 000

Euro-Cbonds IG Corporate Africa

Africa all Eurobonds fixed corp USD 180 - not lower than Ваа3 by Moodys and/ or ВВВ- by S&P and Fitch (2 of 3)

quarterly 01.01.2015 36 500 000 000

Euro-Cbonds NIG Corporate EM


all Eurobonds fixed corp USD 180 - from B3 to Ba1 by Moodys and/

or from B- to BB+ by S&P and

Fitch

quarterly 01.01.2015 36 500 000 000

Euro-Cbonds NIG Corporate LatAm

Latin America all Eurobonds fixed corp USD 180 - from B3 to Ba1 by Moodys and/


Fitch

quarterly 01.01.2015 36 500 000 000

Euro-Cbonds NIG Corporate Eastern Europe

Eastern Europe all Eurobonds fixed corp USD 180 - from B3 to Ba1 by Moodys and/


Fitch

quarterly 01.01.2015 36 500 000 000

Euro-Cbonds NIG Corporate Eastern Europe (EUR)

Eastern Europe all Eurobonds fixed corp EUR 180 - from B3 to Ba1 by Moodys and/


Fitch

quarterly 01.01.2015 36 500 000 000

Euro-Cbonds NIG Corporate Middle East

Middle East all Eurobonds fixed corp USD 180 - from B3 to Ba1 by Moodys and/

or from B- to BB+ by S&P, Fitch

quarterly 01.01.2015 36 500 000 000

18


Coupon







Euro-Cbonds NIG Corporate CIS

CIS all Eurobonds fixed corp USD 180 - from B3 to Ba1 by Moodys and/


Fitch

quarterly 01.01.2015 36 500 000 000

Euro-Cbonds NIG Corporate Africa

Asia all Eurobonds fixed corp USD 180 - from B3 to Ba1 by Moodys and/


Fitch

quarterly 01.01.2015 36 500 000 000

Euro-Cbonds NIG Corporate Asia

Africa all Eurobonds fixed corp USD 180 - from B3 to Ba1 by Moodys and/


Fitch

quarterly 01.01.2015 36 500 000 000

19


Coupon







Brazil Eurobonds index family

Euro-Cbonds Sovereign Brazil

Latin America Brazil Eurobonds fixed gov USD 180 - - quarterly 01.01.2012 36 500 000 000

Euro-Cbonds Corporate Brazil

Latin America Brazil Eurobonds fixed corp USD 180 - - quarterly 01.01.2012 36 500 000 000

Polish Eurobonds index family

Euro-Cbonds Sovereign Poland (USD)

Eastern Europe Poland Eurobonds fixed gov USD 180 - - quarterly 01.09.2009 36 500 000 000

Euro-Cbonds Sovereign Poland (EUR)

Eastern Europe Poland Eurobonds fixed gov EUR 180 - - quarterly 01.09.2009 36 500 000 000

Turkey Eurobonds index family

Euro-Cbonds Sovereign Turkey (USD)

Eastern Europe Turkey Eurobonds fixed gov USD 180 - - quarterly 01.01.2011 36 500 000 000

20

Annex 2: the history of indices methodology adjustments

Date Index Before adjustments After adjustments

01.04.2015 Euro-Cbonds IG Russia Rating: not lower than Ваa3 by Moody’s and/ or ВВB- by S&P and Fitch (2 of 3)

Rating: not lower than Ва1 by Moody’s and/ or ВВ+ by S&P and Fitch (2 of 3)

01.04.2015 Euro-Cbonds IG Russia RUB Rating: not lower than Ваa3 by Moody’s and/ or ВВB- by S&P and Fitch (2 of 3)


01.04.2015 Euro-Cbonds IG Russia EUR Rating: not lower than Ваa3 by Moody’s and/ or ВВB- by S&P and Fitch (2 of 3)


01.04.2015 Euro-Cbonds IG 3Y Russia Rating: not lower than Ваa3 by Moody’s and/ or ВВB- by S&P and Fitch (2 of 3)


01.04.2015 Euro-Cbonds Corporate Ukraine Rating: not lower than В3 (Moody’s) or В- (S&P and Fitch)

-

01.01.2018 Euro-Cbonds Russia BB+/Ba1 Euro-Cbonds IG Russia Euro-Cbonds Russia BB+/Ba1 (change of the name of the index)

01.01.2018 Euro-Cbonds NIG Sovereign EM not higher than Ва1 by Moodys and/ or ВB+ by S&P and Fitch

from B3 to Ba1 by Moodys and/ or from B- to BB+ by S&P and Fitch

01.01.2018 Euro-Cbonds NIG Sovereign LatAm not higher than Ва1 by Moodys and/ or ВB+ by S&P and Fitch


01.01.2018 Euro-Cbonds NIG Sovereign Eastern Europe not higher than Ва1 by Moodys and/ or ВB+ by S&P and Fitch


01.01.2018 Euro-Cbonds NIG Sovereign Asia not higher than Ва1 by Moodys and/ or ВB+ by S&P and Fitch


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